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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 98.1 99.9 101.6 102.7 0.0 0.0 0.0
Weighted Avg. Price 98.1 99.9 101.6 102.7 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 98.1 99.9 101.6 102.6 0.0 0.0 0.0
2nd Quartile Price 98.1 99.9 101.6 102.7 0.0 0.0 0.0
3rd Quartile Price 98.1 99.9 101.6 102.7 0.0 0.0 0.0
4th Quartile Price 98.1 99.9 101.7 102.7 0.0 0.0 0.0
Avg. Price Top 5 Trades 98.1 99.9 101.7 102.7 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 415,709.0 2,665,649.0 3,081,645.0 83,184.7 0.0 0.0 0.0
     NUMBER OF TRADES 38 202 242 27 0 0 0
FHLMC
AVERAGE PRICE 98.1 99.9 101.7 102.7 0.0 0.0 0.0
Weighted Avg. Price 98.1 100.0 101.7 102.8 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 98.1 99.9 101.7 102.7 0.0 0.0 0.0
2nd Quartile Price 98.1 * * 102.7 0.0 0.0 0.0
3rd Quartile Price 98.1 * * 102.7 0.0 0.0 0.0
4th Quartile Price 98.1 * * 102.8 0.0 0.0 0.0
Avg. Price Top 5 Trades 98.1 99.9 101.7 102.8 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 110,725.0 139,099.5 229,469.5 53,565.0 0.0 0.0 0.0
     NUMBER OF TRADES 20 6 11 9 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 98.1 99.9 101.6 * 0.0 0.0 0.0
Weighted Avg. Price 98.1 99.9 101.6 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 98.1 99.8 101.6 * 0.0 0.0 0.0
2nd Quartile Price * 99.8 101.6 * 0.0 0.0 0.0
3rd Quartile Price * 99.9 101.6 * 0.0 0.0 0.0
4th Quartile Price * 99.9 101.6 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 98.1 99.9 101.6 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 40,000.0 288,000.0 379,100.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 5 10 42 * 0 0 0
FHLMC
AVERAGE PRICE 98.1 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 98.1 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 98.1 * * 0.0 0.0 0.0 0.0
2nd Quartile Price * * * 0.0 0.0 0.0 0.0
3rd Quartile Price * * * 0.0 0.0 0.0 0.0
4th Quartile Price * * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 98.1 * * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 100,000.0 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 14 * * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 99.8 101.5 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 99.8 101.5 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.8 101.5 * 0.0 0.0 0.0
2nd Quartile Price 0.0 99.8 101.5 * 0.0 0.0 0.0
3rd Quartile Price 0.0 99.8 101.5 * 0.0 0.0 0.0
4th Quartile Price 0.0 99.8 101.5 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.8 101.5 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 120,500.0 51,000.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 10 23 * 0 0 0
FHLMC
AVERAGE PRICE * 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price * 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price * 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price * 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price * 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation * 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 * * * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * * 0.0 0.0
2nd Quartile Price 0.0 0.0 * * * 0.0 0.0
3rd Quartile Price 0.0 0.0 * * * 0.0 0.0
4th Quartile Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * * 0.0 0.0
Standard Deviation 0.0 0.0 * * * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * * 0.0 0.0
     NUMBER OF TRADES 0 0 * * * 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 102.4 104.4 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 102.4 104.6 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 102.3 104.4 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 102.3 104.3 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 102.5 104.7 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 102.5 104.8 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 102.4 104.5 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.3 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 13,281.9 15,122.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 6 6 0 0
GNMA
AVERAGE PRICE 96.2 98.8 101.0 102.8 103.7 104.5 105.8
Weighted Avg. Price 96.2 98.7 101.0 102.8 103.6 104.3 105.9
Avg. Price Bottom 5 Trades 96.2 98.7 100.9 102.6 103.6 104.1 104.9
2nd Quartile Price 96.2 98.7 101.0 102.8 103.6 104.3 105.0
3rd Quartile Price 96.2 98.8 101.0 102.8 103.6 104.3 106.0
4th Quartile Price 96.2 98.8 101.0 102.8 103.7 104.3 107.3
Avg. Price Top 5 Trades 96.2 98.9 101.1 104.9 105.6 108.0 107.0
Standard Deviation 0.1 0.1 0.1 0.3 0.3 0.7 1.1
     VOLUME OF TRADES (000'S) 376,385.0 1,516,458.0 6,833,238.1 6,248,767.8 6,286,009.0 2,863,415.5 78,916.4
     NUMBER OF TRADES 17 75 207 391 505 247 17
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE * 97.8 100.1 102.0 103.6 105.0 106.0
Weighted Avg. Price * 97.8 100.1 102.0 103.6 105.0 106.0
Avg. Price Bottom 5 Trades * 97.8 100.1 102.0 103.5 105.0 106.0
2nd Quartile Price * 97.8 100.1 102.0 103.5 105.0 *
3rd Quartile Price * 97.8 100.1 102.0 103.6 105.0 *
4th Quartile Price * 97.9 100.1 102.0 103.6 105.0 *
Avg. Price Top 5 Trades * 97.9 100.2 102.1 103.6 105.0 106.0
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 2,676,766.0 14,970,593.9 21,702,315.0 10,750,258.2 748,721.0 74,000.0
     NUMBER OF TRADES * 191 642 916 525 125 10
FHLMC
AVERAGE PRICE 0.0 97.9 100.2 102.0 103.6 * *
Weighted Avg. Price 0.0 97.9 100.2 102.1 103.6 * *
Avg. Price Bottom 5 Trades 0.0 97.8 100.1 102.0 103.6 * *
2nd Quartile Price 0.0 97.8 100.2 102.0 103.6 * *
3rd Quartile Price 0.0 97.9 100.2 102.0 103.6 * *
4th Quartile Price 0.0 97.9 100.2 102.1 103.6 * *
Avg. Price Top 5 Trades 0.0 97.9 100.2 102.1 103.7 * *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 0.0 78,303.0 446,459.4 794,618.6 668,050.1 * *
     NUMBER OF TRADES 0 11 32 42 20 * *
GNMA
AVERAGE PRICE 96.1 98.7 100.9 102.7 103.5 104.2 105.5
Weighted Avg. Price 96.1 98.7 100.9 102.7 103.5 104.2 105.6
Avg. Price Bottom 5 Trades 96.1 98.6 100.9 102.6 103.5 104.0 104.7
2nd Quartile Price 96.1 98.7 100.9 102.6 103.5 104.2 104.7
3rd Quartile Price 96.1 98.7 100.9 102.7 103.5 104.2 104.9
4th Quartile Price 96.2 98.8 101.0 102.7 103.5 104.2 105.9
Avg. Price Top 5 Trades 96.1 98.8 101.0 102.8 103.9 104.7 106.3
Standard Deviation 0.1 0.1 0.0 0.0 0.1 0.2 1.0
     VOLUME OF TRADES (000'S) 376,385.0 2,435,293.0 10,730,131.5 7,645,817.3 6,949,201.8 2,702,795.0 66,940.0
     NUMBER OF TRADES 17 120 266 379 412 188 16
APRIL Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 97.8 100.1 101.9 103.5 104.9 0.0
Weighted Avg. Price 0.0 97.8 100.1 101.9 103.5 104.9 0.0
Avg. Price Bottom 5 Trades 0.0 97.7 100.0 101.9 103.5 104.9 0.0
2nd Quartile Price 0.0 97.8 100.0 101.9 103.5 104.9 0.0
3rd Quartile Price 0.0 97.8 100.1 101.9 103.5 104.9 0.0
4th Quartile Price 0.0 97.8 100.1 102.0 103.5 104.9 0.0
Avg. Price Top 5 Trades 0.0 97.8 100.1 102.0 103.5 104.9 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,050,300.0 7,307,033.9 7,288,550.0 2,685,440.2 40,000.0 0.0
     NUMBER OF TRADES 0 22 115 141 70 10 0
FHLMC
AVERAGE PRICE 0.0 * 100.1 102.0 103.5 * 0.0
Weighted Avg. Price 0.0 * 100.1 102.0 103.5 * 0.0
Avg. Price Bottom 5 Trades 0.0 * 100.1 101.9 103.5 * 0.0
2nd Quartile Price 0.0 * * 101.9 * * 0.0
3rd Quartile Price 0.0 * * 102.0 * * 0.0
4th Quartile Price 0.0 * * 102.0 * * 0.0
Avg. Price Top 5 Trades 0.0 * 100.1 102.0 103.5 * 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 * 61,100.0 468,500.0 78,350.0 * 0.0
     NUMBER OF TRADES 0 * 7 13 7 * 0
GNMA
AVERAGE PRICE 0.0 98.7 100.9 102.6 103.4 104.1 0.0
Weighted Avg. Price 0.0 98.7 100.9 102.6 103.4 104.1 0.0
Avg. Price Bottom 5 Trades 0.0 98.7 100.8 102.5 103.4 104.0 0.0
2nd Quartile Price 0.0 98.7 100.9 102.6 103.4 104.1 0.0
3rd Quartile Price 0.0 98.7 100.9 102.6 103.4 104.1 0.0
4th Quartile Price 0.0 98.7 100.9 102.6 103.5 104.1 0.0
Avg. Price Top 5 Trades 0.0 98.7 101.0 102.6 103.5 104.2 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.1 0.0
     VOLUME OF TRADES (000'S) 0.0 262,000.0 3,271,150.0 826,451.7 1,052,790.0 211,200.0 0.0
     NUMBER OF TRADES 0 9 96 222 164 42 0
MAY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 97.7 100.0 101.8 103.4 104.7 0.0
Weighted Avg. Price 0.0 97.7 100.0 101.8 103.4 104.7 0.0
Avg. Price Bottom 5 Trades 0.0 97.7 99.9 101.8 103.4 104.7 0.0
2nd Quartile Price 0.0 97.7 100.0 101.8 103.4 104.7 0.0
3rd Quartile Price 0.0 97.7 100.0 101.8 103.4 104.7 0.0
4th Quartile Price 0.0 97.7 100.0 101.9 103.4 104.8 0.0
Avg. Price Top 5 Trades 0.0 97.7 100.0 101.9 103.4 104.8 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 470,000.0 1,399,500.0 1,003,075.0 561,400.0 68,250.0 0.0
     NUMBER OF TRADES 0 18 98 148 45 15 0
FHLMC
AVERAGE PRICE 0.0 * * 101.9 * 0.0 0.0
Weighted Avg. Price 0.0 * * 101.9 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 101.9 * 0.0 0.0
2nd Quartile Price 0.0 * * 101.9 * 0.0 0.0
3rd Quartile Price 0.0 * * 101.9 * 0.0 0.0
4th Quartile Price 0.0 * * 101.9 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 101.9 * 0.0 0.0
Standard Deviation 0.0 * * 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 88,750.0 * 0.0 0.0
     NUMBER OF TRADES 0 * * 11 * 0 0
GNMA
AVERAGE PRICE 0.0 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * * 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.